Variance (Non) Causality in Multivariate GARCH (Q3432677)

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Variance (Non) Causality in Multivariate GARCH
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    title
    Variance (Non) Causality in Multivariate GARCH (English)
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    publication date
    18 April 2007
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    Mathematics Subject Classification ID
    62M10
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    62P05
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    62H99
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    zbMATH DE Number
    5144206
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    zbMATH Keywords
    multivariate GARCH
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    variance causality
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    volatility
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    FIB30 market
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